Hi there,

I am currently doing some analysis looking at the affect of CSR on stock returns during a crisis and non-crisis. I have created a long short portfolio which goes long on high CSR firms and is short on low CSR firms. I have used Carharts 4 factor model for both time periods and during the non-crisis period i get a negative and significant alpha but the momentum factor is not significant. Whereas in the crisis period my alpha is positive but not significant, but the momentum factor is now significant (still negative). I also ran the fama-french 3 factor model and during the crisis period i get a highly positive and significant alpha but when the carhart model is used the result is not significant. My question therefore is, is there a reason that the momentum factor during the crisis period is now significant and what could be some reasons for it impacting the alpha so significantly.

Hope that makes sense